题目内容
(请给出正确答案)
[单选题]
Atraderholdsa1-yearAmericanputoptionwithastrikepriceofUSD100onastockcurrentlytradingatUSD90.Tovaluetheoption,a1-stepbinomialtreeisusedwherethestockpricecanmoveupordownbyUSD10overa1-yearperiod.Iftherisk-neutralprobabilityofthestockmovingupis81%andtherisk-freerateis6%peryear,whatisthecurrentvalueoftheAmericanput()
A.USD 1.79
B.USD 1.90
C.USD 7.63
D.USD 10
答案
D、USD 10